Shannon entropy to quantify complexity in the financial market

Alexis Rodriguez Carranza, Jos\'e Luis Ponte Bejarano, Juan Carlos Ponte Bejarano and Segundo Eloy Soto Abanto

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Abstract: In this paper we study the complexity in the information traffic that occurs in the peruvian financial market, using the Shannon entropy. Different series of prices of shares traded on the Lima stock exchange are used to reconstruct the unknown dynamics. We present numerical simulations on the reconstructed dynamics and we calculate the Shannon entropy to measure its complexity

Date: 2023-07
New Economics Papers: this item is included in nep-hme
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